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State Tameness: A New Approach for Credit Constrains

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	State Tameness: A New Approach for Credit Constrains
2.	Creator	Author's name, affiliation, country	Jaime A. Londono; Universidad EAFIT
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)
4.	Description	Abstract	We propose a new definition for tameness within the model of security prices as  Itô processes that is risk-aware.  We give a new definition for arbitrage and characterize it.  We then prove a theorem that can be seen as an extension of the second fundamental theorem of asset pricing, and a theorem for valuation of contingent claims of the American type. The valuation of European contingent claims and American contingent claims that we obtain does not require the full range of the volatility matrix.  The technique used to prove the theorem on valuation of American contingent claims does not depend on the Doob-Meyer decomposition of super-martingales; its proof is constructive and suggest and alternative way to find approximations of stopping times that are close to optimal.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2004-02-13
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ecp.ejpecp.org/article/view/1102
10.	Identifier	Digital Object Identifier	10.1214/ECP.v9-1102
11.	Source	Journal/conference title; vol., no. (year)	Electronic Communications in Probability; Vol 9
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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